Discovery Projects - Grant ID: DP0210572

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0210572

Funding Status
Closed

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Funded Activity Summary

Stochastic Analysis with a View to Applications in Financial Risk Processes. Recent decades have seen explosive growth in applications of probability theory and statistics to the modelling of risk in finance and insurance. An intensive theoretical investigation into passage time and other problems for Levy and other continuous time processes will be applied to financial risk analyses. Related investigations will involve perpetuities and stochastic volatility models for price series. Outcomes will include the development of new theory in probability and statistics, the initiation and reinforcement of collaborative ties with major international research figures, and the fostering of contacts with the finance industry.

Funded Activity Details

Start Date: 01-07-2003

End Date: 31-12-2006

Funding Scheme: Discovery Projects

Funding Amount: $175,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Probability Theory | Statistics | Risk Theory |

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Mathematical sciences

Other Keywords

Finance and investment services | Mathematical sciences | Probability Theory | Risk Theory | Statistics | Stochastic Analysis And Modelling

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